誰在交易樂透性質的選擇權

Who Gambles in the Option Market?

10.3966/054696002014120096006

王銘駿(Ming-Chun Wang)；陳宜伶(Yi-Ling Chen)；吳昭億(Chao-Yi Wu)；林韋伶(Wei-Ling Lin)

賭博 ； 樂透選擇權 ； Gambling ； Lottery Options

應用經濟論叢

96期（2014 / 12 / 01）

191 - 228

繁體中文

風險偏好是否影響投資決策，一直是行為財務學關注的焦點。本研究以2002年至2007年的台指選擇權交易資料為樣本，實證發現賭博偏好與投資決策具相關性。從整體市場來看，個人投資者相對機構投資者偏好具有樂透特質的選擇權。本研究參考Kumar（2009）提出的五種方法，尋找出投資人對樂透台指選擇權的偏好。結果顯示，某些社會經濟因素確實可以增加樂透台指選擇權投資偏好。透過時間序列迴歸，發現樂透台指選擇權的需求隨著經濟衰退而增加，顯示樂透台指選擇權吸引具有相似的社會經濟特性的投資人，且經濟環境會影響樂透台指選擇權的需求。

It has been an important issue of behavior finance to test whether risk preference affects investment decision. Using Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) options data from 2002 to 2007, this study shows that people's propensity to gamble and their investment decisions are correlated. At an aggregate level, individual investors relative to institutional investors prefer options with lottery features. Using five methods that Kumar(2009) proposed to capture an investor's preference for lottery-type TAIEX options, the results demonstrate that some socioeconomic factors induce greater investment in lottery-type TAIEX options. In the time-series regression, the demand for lottery-type TAIEX options increases during economic downturn. Collectively, these results indicate that lottery-type TAIEX options attract similar socioeconomic people and economic environment influences the demand for lottery-type TAIEX options.

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